Quote: "The entire reason to use linux is to get a more controllable operating system, not use windows applications."
The *point* of Linux is that it is free - in a "free speech" sense. This means that the code is available for anyone to examine, modify and recompile. That Linux is more configurable is probably true, but a byproduct of it being free rather than a stated goal.
Quote: "but if you use shell applications (replacement of EXE for linux),"
I'm not sure what you mean by "shell application", but the Linux equivalent of the Windows PE (Portable Executable) format is called ELF. The problem with running Windows executables under Linux is not the executable format itself, but the libraries that the program needs in order to run. A typical Windows application will depend upon the standard system libraries (User32, Kernel32 ? etc.). 3D games provide further complications if they depend upon DirectX which is not available as an API under Linux.
Quote: "Try RPM based files (like Binary Files)"
RPM is a format for packaging software for easy installation on Linux, used by Red Hat, SuSE and others. An alternative is DPKG ("Debian Package") which is used by Debian and related distributions such as Ubuntu / Kubuntu.
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